Forecasting the Great Recession: DSGE vs. Blue Chip

Marco Del Negro, Daniel Herbst and Frank Schorfheide ()
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Frank Schorfheide: https://economics.sas.upenn.edu/people/frank-schorfheide

No 20120416, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: Dynamic stochastic general equilibrium (DSGE) models have been trashed, bashed, and abused during the Great Recession and after. One of the many reasons for the bashing was the models’ alleged inability to forecast the recession itself. Oddly enough, there’s little evidence on the forecasting performance of DSGE models during this turbulent period. In the paper “DSGE Model-Based Forecasting,” prepared for Elsevier’s Handbook of Economic Forecasting, two of us (Del Negro and Schorfheide), with the help of the third (Herbst), provide some of this evidence. This post shares some of our results.

Keywords: Great Recession; DSGE models; forecasting (search for similar items in EconPapers)
JEL-codes: E2 G1 (search for similar items in EconPapers)
Date: 2012-04-16
New Economics Papers: this item is included in nep-mac
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